AlphaLab

StatArb

Pair trading is employed by professional traders to outperform the market. This script is a complete trading strategy where you can set your own parameters and the system will generate ready to trade signals. All you have to do is just execute profitable trades based on your own parameters.
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study(title="Pair Trading. Grey area chart is normalized spread between two pairs", shorttitle="StatArb.Pair Trading. Grey area chart is normalized spread between two pairs", overlay=true)
tf_short = input(title="Timeframe",type=string,defval='15')
stoploss = input(title="StopLoss %",type=float,defval=10)
takeprofit = input(title="takeProfit %",type=float,defval=30)
avgLookback = input(title="Smoothing Lookback period in bars - short",type=integer,defval=10)
avgLookback_long = input(title="Smoothing Lookback period in bars - long" ,type=integer,defval=100)
stdDevMultiplier =input(title="Standard deviation multiplier",type=integer,defval=4)
sym1_short = input(title="Symbol1", type=symbol, defval="AUDUSD"), res1 = tf_short, source1 = close
sym2_short = input(title="Symbol2", type=symbol, defval="XAUUSD"), res2 = tf_short, source2 = close
sym_price1 = security(sym1_short, res1, source1) 
sym_price2 = security(sym2_short, res2, source2)
cum_changePcnt1_short = cum(1*(sym_price1- offset(sym_price1,1))/sym_price1)
cum_changePcnt2_short = cum(1*(sym_price2- offset(sym_price2,1))/sym_price2)
sym_priceNorm_1 = (sym_price1[0])*(1+cum_changePcnt1_short) 
sym_priceNorm_2 = (sym_price1[0])*(1+cum_changePcnt2_short)  

spread_norm = (sym_priceNorm_1-sym_priceNorm_2)
spread_short = ema(sym_priceNorm_1-sym_priceNorm_2 ,avgLookback) 
spread_long= ema(sym_priceNorm_1-sym_priceNorm_2  ,avgLookback_long)
spread_stdev_short = stdev(spread_long,avgLookback)
lower_band_entry = spread_long-spread_stdev_short*stdDevMultiplier
upper_band_entry = spread_long+spread_stdev_short*stdDevMultiplier
lower_band_exit = spread_long-spread_stdev_short*stdDevMultiplier*4
upper_band_exit = spread_long+spread_stdev_short*stdDevMultiplier*4

signalLine_Short = ((offset(spread_short,0) - offset(lower_band_entry,0)))>0 
               and ((offset(spread_short,1) - offset(lower_band_entry,1)))<0
signalLine_Long =  ((offset(spread_short,0) - offset(upper_band_entry,0))<0) 
               and ((offset(spread_short,1) - offset(upper_band_entry,1))>0)
 //SHORTS              
entry_Short = iff(signalLine_Short==0, na,spread_norm) 
stoploss_level_short   = entry_Short + abs(entry_Short *(stoploss/100))
takeprofit_level_short = entry_Short - abs(entry_Short *(takeprofit/100))
entry_Short_sl = iff((offset(spread_norm,0) > offset(stoploss_level_short,0)) 
                 and (offset(spread_norm,1) < offset(stoploss_level_short,1)),spread_norm,na )
entry_Short_tp = iff((offset(spread_norm,0) < offset(takeprofit_level_short,0)) 
                 and (offset(spread_norm,1) > offset(takeprofit_level_short,1)),spread_norm,na )
 //LONGS
entry_Long  = iff(signalLine_Long==0, na,sym_priceNorm_1-sym_priceNorm_2)  
stoploss_level_long   = entry_Long - abs(entry_Long *(stoploss/100))
takeprofit_level_long = entry_Long + abs(entry_Long *(takeprofit/100))
entry_Long_sl = iff((offset(spread_norm,0) < offset(stoploss_level_long,0)) 
                and (offset(spread_norm,1) > offset(stoploss_level_long,1)),spread_norm,na )
entry_Long_tp = iff((offset(spread_norm,0) > offset(takeprofit_level_long,0)) 
                and (offset(spread_norm,1) < offset(takeprofit_level_long,1)),spread_norm,na )
//
signalLine_Short_exit =  offset(spread_short,0) - offset(upper_band_exit,0)>0
                  and    offset(upper_band_exit,1) -    offset(spread_short,1)>0
signalLine_Long_exit  =  offset(spread_short,0)  - offset(lower_band_exit,0)>0 
                     and offset(lower_band_exit,1)  -    offset(spread_short,1)>0
                           
plot((spread_norm) ,style=area,color=black,transp =90, linewidth=1)  

plot(entry_Short,style=circles,color=red, trackprice=true,linewidth=4)
plot(entry_Long, style=circles,color=green, trackprice=true,linewidth=4) 
// exits                
plot(stoploss_level_short,style=linebr,color=red, trackprice=true,linewidth=1)
plot(takeprofit_level_short,style=cross,color=red, trackprice=true,linewidth=1)
plot(stoploss_level_long,style=linebr,color=green, trackprice=true,linewidth=1)
plot(takeprofit_level_long,style=cross,color=green, trackprice=true,linewidth=1)

Kommentare

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